I found the problem. Even after looking at a fair amount of literature it was not clear that the Path needs to be set:
I apologize for the small picture but under My Project/References/Reference Paths.../ <Select the correct path>
Was also discovered that VS2008 and below, the newest Framework that can be used is 3.5.
Solidworks also provides dll's for two sets of Framework:
For newer than Framework 3.5 use the dll's under the appropriate \api\redist\<dll's>
For Framework 3.5 and older use the \api\<dll's>